First off, you can see what modules are active using lsmod, yes. But those are only the modules that are set in modules.conf at boot time. I'm not sure how it's done in other distros but for Gentoo there's a kernel option in /proc/config to list the configuration, and see what is listed as a modules or no.
As for lockd, as long as you have nfs support loaded and as an active module, I don't think you need to set parameters either in /etc/modules.conf OR LILO. Lockd parameters can be set up in hosts.allow and hosts.deny.
For NFS resources I've always found this to be a good start for reading:
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